Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 4 |
| Score | 5.58 | 5.66 | 4.13 |
| Market Cap (Millions USD) | 480.85 | 478.5 | 460.87 |
| Predicted Beta | 0.84 | 0.84 | 0.85 |
| Idiosyncratic Volatility | 3.96 | 3.73 | 4.15 |
Annualized return and volatility
| IYK | |
|---|---|
| Annualized Return | 0.0818 |
| Annualized Std Dev | 0.1461 |
| Annualized Sharpe (Rf=0%) | 0.5599 |
Row
Daily Return Statistics
| IYK | |
|---|---|
| Observations | 4996.0000 |
| NAs | 118.0000 |
| Minimum | -0.0694 |
| Quartile 1 | -0.0040 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0050 |
| Maximum | 0.0894 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0092 |
| Skewness | -0.0960 |
| Kurtosis | 7.8514 |
Downside Risk
| IYK | |
|---|---|
| Semi Deviation | 0.0067 |
| Gain Deviation | 0.0064 |
| Loss Deviation | 0.0070 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.4264 |
| Historical VaR (95%) | -0.0143 |
| Historical ES (95%) | -0.0220 |
| Modified VaR (95%) | -0.0136 |
| Modified ES (95%) | -0.0217 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2010-10-22 | -0.4264 | 736 | 320 | 416 |
| 2002-05-03 | 2003-03-10 | 2003-12-18 | -0.2452 | 421 | 220 | 201 |
| 2018-01-25 | 2018-12-24 | 2019-07-29 | -0.1970 | 385 | 235 | 150 |
| 2011-07-08 | 2011-08-10 | 2012-01-25 | -0.1322 | 141 | 24 | 117 |
| 2001-02-21 | 2001-03-22 | 2001-12-19 | -0.1281 | 211 | 22 | 189 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | 0.3 | 0.0 | 0.7 | -0.9 | 0.0 | 0.1 |
| 2001 | 1.8 | -0.4 | 0.0 | 2.7 | 0.4 | 0.0 | -0.8 | 0.0 | -0.3 | 1.7 | 0.0 | 0.0 | 5.2 |
| 2002 | 0.5 | 1.8 | -0.4 | 1.5 | 0.0 | 0.0 | -0.5 | 0.0 | 2.8 | 1.4 | 0.0 | 0.0 | 7.3 |
| 2003 | 0.0 | 0.0 | 0.2 | 0.3 | 0.0 | 0.8 | -1.1 | 0.0 | 1.6 | 0.0 | 0.6 | 0.0 | 2.4 |
| 2004 | 0.0 | 0.9 | 1.0 | 0.0 | 0.5 | -0.6 | 0.0 | 0.8 | 1.1 | 0.2 | 1.2 | 0.0 | 5.3 |
| 2005 | 0.2 | 0.8 | -0.7 | 0.0 | 0.6 | 0.1 | -0.3 | -0.6 | 0.0 | -0.5 | 0.8 | 0.0 | 0.4 |
| 2006 | 0.2 | 0.2 | 0.0 | -0.2 | 0.7 | 0.0 | -0.6 | 0.4 | 0.0 | -0.4 | -0.5 | 0.0 | 0.0 |
| 2007 | 0.7 | -0.1 | 0.0 | -0.6 | 0.2 | 0.0 | 1.0 | 0.0 | 0.8 | -2.9 | 0.0 | 0.0 | -0.9 |
| 2008 | 1.3 | 0.0 | 2.0 | 0.6 | 0.0 | 0.1 | 0.2 | 0.0 | 1.1 | 0.0 | -5.7 | 0.0 | -0.7 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.1 | 2.2 | 1.6 | 0.0 | -1.5 | -1.7 | 0.0 | 1.4 | 0.0 | 3.9 |
| 2010 | 0.8 | 1.0 | 0.7 | 0.0 | -0.8 | 0.3 | 0.0 | 2.0 | 0.2 | -0.1 | 1.9 | 0.0 | 6.0 |
| 2011 | 0.6 | -1.1 | 0.7 | 0.0 | -1.5 | 1.1 | -0.3 | -0.7 | 0.0 | -2.3 | -0.4 | 0.0 | -3.7 |
| 2012 | 0.7 | 0.3 | 0.0 | 0.3 | -2.3 | 0.0 | -0.8 | 0.0 | 0.6 | 0.8 | 0.0 | 0.0 | -0.3 |
| 2013 | 0.6 | 0.2 | -0.4 | -0.6 | 0.0 | 0.9 | 1.4 | 0.0 | 0.5 | 0.2 | 0.0 | 0.0 | 2.8 |
| 2014 | 0.0 | 0.0 | 0.5 | -0.1 | 0.0 | 0.5 | 0.4 | 0.0 | -0.6 | 0.0 | -0.8 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | -0.2 | 0.9 | 0.0 | 1.2 | 0.0 | -2.5 | 0.0 | 0.0 | 0.8 | 0.0 | 0.2 |
| 2016 | 0.1 | 1.4 | 0.9 | 0.0 | 0.3 | 0.1 | -0.1 | 0.0 | 0.0 | -0.6 | -0.5 | 0.0 | 1.5 |
| 2017 | -0.4 | 0.8 | 0.0 | -0.5 | 0.8 | 0.0 | -0.3 | 0.6 | 0.0 | 0.0 | 0.2 | 0.0 | 1.1 |
| 2018 | -0.6 | -0.7 | 0.0 | -0.6 | 0.5 | 0.0 | -1.0 | 0.0 | 0.2 | 0.9 | 0.0 | 0.0 | -1.3 |
| 2019 | -0.2 | 0.2 | 0.3 | -1.2 | 0.0 | 0.6 | -1.0 | 0.0 | -0.6 | 0.3 | 0.0 | 0.1 | -1.4 |
Row
Rolling Performance Chart
Snail Trail Chart
